IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Automatic Block-Length Selection for the Dependent Bootstrap"

by Dimitris Politis & Halbert White

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. repec:hal:journl:halshs-00425585 is not listed on IDEAS
  2. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, Department of Economics and Business Economics, Aarhus University.
  3. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  4. Pouliot, Sébastien & Sumner, Daniel A., 2012. "Differential Impacts of Country of Origin Labeling: COOL Econometric Evidence from Cattle Markets," Working Papers 148593, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  5. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Staff Working Papers 08-18, Bank of Canada.
  6. Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui, 2015. "Estimating the long rate and its volatility," Economics Letters, Elsevier, vol. 129(C), pages 100-102.
  7. Paya, Ivan & Peel, David A. & Spiru, Alina, 2010. "The forward premium puzzle in the interwar period and deviations from covered interest parity," Economics Letters, Elsevier, vol. 108(1), pages 55-57, July.
  8. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
  9. Nicol\'o Musmeci & Tomaso Aste & Tiziana Di Matteo, 2016. "What does past correlation structure tell us about the future? An answer from network filtering," Papers 1605.08908, arXiv.org.
  10. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
  11. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
  12. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
  13. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  14. GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques.
  15. Thibault Vatter & Hau-Tieng Wu & Valérie Chavez-Demoulin & Bin Yu, 2015. "Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 864, December.
  16. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 301-331.
  17. Ching-Chuan Tsong, 2009. "Assessing the Accuracy of Event Forecasts," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 219-240, July.
  18. Pasquale Cirillo & Pietro Muliere, 2013. "An urn-based Bayesian block bootstrap," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 93-106, January.
  19. Bruno Larue & Jean-Philippe Gervais & Yannick Rancourt, 2010. "Exchange rate pass-through, menu costs and threshold cointegration," Empirical Economics, Springer, vol. 38(1), pages 171-192, February.
  20. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  21. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
  22. Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J., 2012. "Modeling dependence dynamics through copulas with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 346-356.
  23. Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 244-256.
  24. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
  25. Blaskowitz, Oliver & Herwartz, Helmut, 2014. "Testing the value of directional forecasts in the presence of serial correlation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 30-42.
  26. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  27. Ruiz, Esther & Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  28. Esfandiar Maasoumi & Jeffrey Racine, 2009. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 246-261.
  29. Sylvain Barde, 2015. "Direct calibration and comparison of agent-based herding models of financial markets," Studies in Economics 1507, School of Economics, University of Kent.
  30. Fulli-Lemaire, Nicolas, 2013. "Alternative inflation hedging strategies for ALM," MPRA Paper 43755, University Library of Munich, Germany.
  31. Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.
  32. Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England.
  33. Palm Franz C. & Smeekes Stephan & Urbain Jean-Pierre, 2008. "Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests," Research Memorandum 048, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  34. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, vol. 28(4), pages 1489-1497, July.
  35. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  36. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
  37. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
  38. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  39. esposito, francesco paolo & cummins, mark, 2015. "Multiple hypothesis testing of market risk forecasting models," MPRA Paper 64986, University Library of Munich, Germany.
  40. Fang, Ying & Li, Qi & Wu, Ximing & Zhang, Daiqiang, 2015. "A data-driven smooth test of symmetry," Journal of Econometrics, Elsevier, vol. 188(2), pages 490-501.
  41. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  42. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  43. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank, Research Centre.
  44. Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering.
  45. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  46. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
  47. Politis, D N, 2009. "Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices," University of California at San Diego, Economics Working Paper Series qt66w826hz, Department of Economics, UC San Diego.
  48. Kim, Sangbae & In, Francis, 2012. "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2083-2094.
  49. Ahmet Sensoy & Benjamin M. Tabak, 2013. "How Much Random Does European Union Walk? A Time-Varying Long Memory Analysis," Working Paper 12, Research and Business Development Department, Borsa Istanbul.
  50. Zhou, Jian & Nicholson, Joseph R., 2015. "Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications," Economic Modelling, Elsevier, vol. 45(C), pages 14-21.
  51. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.
  52. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2014. "Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies," Financial Markets and Portfolio Management, Springer, vol. 28(3), pages 209-231, August.
  53. David Ardia & Lennart Hoogerheide, 2013. "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers 13-047/III, Tinbergen Institute.
  54. Zhang, Xinyu & Wan, Alan T.K. & Zou, Guohua, 2013. "Model averaging by jackknife criterion in models with dependent data," Journal of Econometrics, Elsevier, vol. 174(2), pages 82-94.
  55. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  56. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  57. Shin, Dong Wan & Hwang, Eunju, 2013. "Stationary bootstrapping for cointegrating regressions," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 474-480.
  58. Ahmet Sensoy & Benjamin M. Tabak, 2016. "Dynamic Efficiency of Stock Markets and Exchange Rates," Working Paper 32, Research and Business Development Department, Borsa Istanbul.
  59. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
  60. David Ardia & Kris Boudt, 2013. "The Peer Performance of Hedge Funds," Cahiers de recherche 1329, CIRPEE.
  61. Abhyankar, Abhay & Chen, Hsuan-Chi & Ho, Keng-Yu, 2006. "The long-run performance of initial public offerings: Stochastic dominance criteria," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 620-637, September.
  62. McMurry, Timothy L & Politis, D N, 2010. "Banded and Tapered Estimates for Autocovariance Matrices and the Linear Process Bootstrap," University of California at San Diego, Economics Working Paper Series qt5h9259mb, Department of Economics, UC San Diego.
  63. Politis, Dimitris, 2005. "Higher-order accurate, positive semi-definite estimation of large-sample covariance and spectral density matrices," University of California at San Diego, Economics Working Paper Series qt7qg2m9rz, Department of Economics, UC San Diego.
  64. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  65. Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
  66. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  67. Zhang, Xianyang, 2016. "Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework," Journal of Econometrics, Elsevier, vol. 193(1), pages 123-146.
  68. Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2916-2930, November.
  69. Yang, Haisheng & He, Jie & Chen, Shaoling, 2015. "The fragility of the Environmental Kuznets Curve: Revisiting the hypothesis with Chinese data via an “Extreme Bound Analysis”," Ecological Economics, Elsevier, vol. 109(C), pages 41-58.
  70. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
  71. Andrew J. Patton, 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics 24819, London School of Economics and Political Science, LSE Library.
  72. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  73. Fulli-Lemaire, Nicolas, 2012. "A Dynamic Inflation Hedging Trading Strategy Using a CPPI," MPRA Paper 42851, University Library of Munich, Germany, revised 13 Nov 2012.
  74. Manuel Lukas & Eric Hillebrand, 2014. "Bagging Weak Predictors," CREATES Research Papers 2014-01, Department of Economics and Business Economics, Aarhus University.
  75. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2006. "Bootstrap tests of multiple inequality restrictions on variance ratios," Economics Letters, Elsevier, vol. 91(3), pages 343-348, June.
  76. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.